Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0062
Annualized Std Dev 0.1300
Annualized Sharpe (Rf=0%) -0.0477

Row

Daily Return Statistics

Close
Observations 5585.0000
NAs 1.0000
Minimum -0.1448
Quartile 1 -0.0034
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0036
Maximum 0.0942
SE Mean 0.0001
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0002
Variance 0.0001
Stdev 0.0082
Skewness -1.1500
Kurtosis 35.4985

Downside Risk

Close
Semi Deviation 0.0060
Gain Deviation 0.0060
Loss Deviation 0.0071
Downside Deviation (MAR=210%) 0.0112
Downside Deviation (Rf=0%) 0.0060
Downside Deviation (0%) 0.0060
Maximum Drawdown 0.5438
Historical VaR (95%) -0.0112
Historical ES (95%) -0.0194
Modified VaR (95%) -0.0101
Modified ES (95%) -0.0101
From Trough To Depth Length To Trough Recovery
1999-01-06 2008-12-16 2012-02-27 -0.5438 3304 2500 804
2012-11-30 2020-03-18 NA -0.3727 2090 1836 NA
2012-02-28 2012-03-19 2012-07-25 -0.0684 104 15 89
2012-08-01 2012-08-22 2012-10-01 -0.0569 43 16 27
2012-10-02 2012-11-02 2012-11-19 -0.0412 33 22 11

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0 -0.4 0 0.8 0 -0.5 0 -0.4 -1.4 2.1 1.1 1 2.3
2000 -1.6 -1 2.2 -0.6 0 0.5 0.5 -0.5 0.5 0.5 -0.5 1.5 1.5
2001 0.5 -0.2 0.5 0.7 0.2 0.4 0.1 0.8 1.5 1.1 0.1 0.4 6.2
2002 0.1 0.3 0.5 -0.2 0 0 0.3 0.1 -0.4 0 0.7 0.4 1.8
2003 0.7 0.1 0 0.3 -0.1 -0.1 -0.4 0.2 0.6 0.8 -0.5 0.1 1.5
2004 0.4 -0.2 -0.7 0.1 -0.2 0.1 0.3 -0.1 -0.7 0.4 0 0.1 -0.5
2005 0.3 -0.2 1.5 0.1 -0.1 -0.4 0.3 0.6 -0.6 0 0.6 0.3 2.3
2006 -1.4 -0.2 -0.1 -0.1 0.2 0.1 0 0.1 0 1 -0.1 0.3 -0.2
2007 0 -0.2 -0.2 0.2 0.1 0.1 -0.4 -0.1 -0.3 -0.2 0.6 0.6 0.3
2008 0.5 -2 0.2 0.2 -0.1 0.7 0 -0.1 0.1 2.1 -2.2 -0.2 -1
2009 0.3 -1.3 0.6 1.1 -0.4 0.2 0.2 0.2 1.7 0.4 0.2 -0.2 3
2010 -0.2 -0.2 -0.1 0.1 -0.8 0 1 -0.7 -0.1 0.2 -1.7 1.5 -1.2
2011 0.8 0.2 0.6 0.5 2 0.7 0.3 -0.5 0.4 -0.2 0.9 0 5.7
2012 0.8 -0.6 0.2 0.7 0.1 0.1 -1.1 -0.1 0.4 0.3 -0.7 1.1 1
2013 0.1 0.2 -0.2 0.3 -1.7 0.6 -1.7 -0.6 -0.1 -0.8 -0.1 -0.1 -4
2014 -0.2 -0.1 -0.2 0.1 -0.2 -0.3 0 -0.1 0.9 0.9 0.1 0.4 1.4
2015 0.1 0.6 0.1 -0.9 -0.6 0.7 1.5 -0.1 0.4 0.2 1.1 0.4 3.4
2016 0.3 0.1 -0.4 0.7 0.7 0.7 -0.3 -0.1 0.1 0.5 -1.6 0.1 0.6
2017 -0.1 -0.2 0.1 0.1 -0.3 0.4 0.1 0.1 0.3 -0.2 -0.1 -0.1 0.1
2018 -0.9 -0.2 0.1 0 -0.1 0 -0.4 -0.2 -0.7 0 -0.1 0.5 -1.9
2019 -0.2 0.3 0 0.7 0.1 0.3 0.3 0.3 0.7 -0.1 0 -0.1 2.4
2020 0.6 -0.6 -3.7 0.7 -0.3 -0.2 0.5 0.4 0.1 -0.4 0.3 0.4 -2.2
2021 0.1 0.6 1.2 NA NA NA NA NA NA NA NA NA 1.9

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Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart